| Class | Description |
|---|---|
| ARMAModel |
This class represents a multivariate ARMA model.
|
| ARMAXModel |
This class represents a multivariate ARMAX (ARMA model with eXogenous inputs) model.
|
| ARModel |
This class represents a VAR model.
|
| AutoCorrelation |
Compute the Auto-Correlation Function (ACF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0.
|
| AutoCovariance |
Compute the Auto-CoVariance Function (ACVF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0.
|
| InnovationAlgorithm |
This is an implementation, adapted for an ARMA process, of the innovation algorithm,
which is an efficient way of obtaining a one step least square linear predictor.
|
| Invertibility |
This class computes the inverse representation of an Autoregressive Moving Average (ARMA) model.
|
| LinearRepresentation |
This class computes the linear representation of an Autoregressive Moving Average (ARMA) model.
|
| MAModel |
This class represents a multivariate MA model.
|
| VARFitting |
This class estimates the coefficients for a VAR model.
|
| VARXModel |
This class represents a VARX (VAR model with eXogenous inputs) model.
|
| VECM |
This class represents a Vector Error Correction Model (VECM).
|
| VECMLongrun |
This class represents a long-run Vector Error Correction Model (VECM).
|
| VECMTransitory |
This class represents a transitory Vector Error Correction Model (VECM).
|